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Cited by 255

The DOI matches its Crossref record; 20 of the 20 references it cites were found in a registry or an index.

Dynamic analysis between the US stock returns and the macroeconomic variables

Ratanapakorn, Orawan, Sharma, Subhash C.·2007·Applied Financial Economics
DOI 10.1080/09603100600638944
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Abstract

This study investigates the long-term and short-term relationships between the US stock price index (S&P 500) and six macroeconomic variables over the period 1975:1–1999:4. We observe that the stock prices negatively relate to the long-term interest rate, but positively relate to the money supply, industrial production, inflation, the exchange rate and the short-term interest rate. In the Granger causality sense, every macroeconomic variable causes the stock prices in the long-run but not in the short-run. Moreover, these results are also supported by the VDC, i.e. the stock prices are relatively exogenous in relation to other variables because almost 87% of its own variance is explained by its own stock even after 24 months.

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Metadata

Authors
Ratanapakorn, O., & Sharma, S. C.
Venue
Applied Financial Economics
Publisher
Informa UK Limited
Published
2007-03
Volume
17
Issue
5
Pages
369-377
ISSN
  • 0960-3107 (ISSN-L)
  • 1466-4305
DOI
10.1080/09603100600638944
OpenAlex
W2089780443
Cited by
255
References
20
FWCI
4.57
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Dynamic analysis between the US stock returns and the macroeconomic variables. https://app.cochat.ai/papers/10.1080/09603100600638944
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Ratanapakorn, O., & Sharma, S. C. (2007). Dynamic analysis between the US stock returns and the macroeconomic variables. Applied Financial Economics. https://doi.org/10.1080/09603100600638944

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.